Noise Trader Demand in Commodity Futures Markets

Dwight R. Sanders and Scott H. Irwin

No 285668, 1981-1999 Conference Archive from NCR-134/ NCCC-134 Applied Commodity Price Analysis, Forecasting, and Market Risk Management

Abstract: Theoretical noise trader models suggest that uninformed traders can impact market prices. However, these models' conclusions depend on the assumed specification for noise trader demand. This research seeks to empirically determine the appropriate demand specification for uninformed traders. Using a commercial market sentiment index as a proxy for noise trader demand, a Granger causality model is estimated to examine the linear linkages between sentiment and futures returns. The results suggest that noise traders are positive feedback traders with relatively long memories.

Keywords: Marketing (search for similar items in EconPapers)
Date: 1996-04
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Persistent link: https://EconPapers.repec.org/RePEc:ags:nc8191:285668

DOI: 10.22004/ag.econ.285668

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